Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.5773
Annualized Std Dev 0.6264
Annualized Sharpe (Rf=0%) -0.9216

Row

Daily Return Statistics

Close
Observations 3083.0000
NAs 1.0000
Minimum -0.3204
Quartile 1 -0.0214
Median -0.0037
Arithmetic Mean -0.0026
Geometric Mean -0.0034
Quartile 3 0.0140
Maximum 0.3257
SE Mean 0.0007
LCL Mean (0.95) -0.0040
UCL Mean (0.95) -0.0012
Variance 0.0016
Stdev 0.0395
Skewness 0.1550
Kurtosis 7.8066

Downside Risk

Close
Semi Deviation 0.0272
Gain Deviation 0.0311
Loss Deviation 0.0276
Downside Deviation (MAR=210%) 0.0331
Downside Deviation (Rf=0%) 0.0285
Downside Deviation (0%) 0.0285
Maximum Drawdown 1.0000
Historical VaR (95%) -0.0594
Historical ES (95%) -0.0917
Modified VaR (95%) -0.0596
Modified ES (95%) -0.0749
From Trough To Depth Length To Trough Recovery
2009-03-10 2021-02-12 NA -1.0000 3030 3005 NA
2009-01-21 2009-02-09 2009-03-06 -0.3750 32 14 18
2008-12-30 2009-01-06 2009-01-20 -0.2878 14 5 9
2008-12-19 2008-12-19 2008-12-22 -0.0292 2 1 1
2008-12-24 2008-12-26 2008-12-29 -0.0163 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA -3 -3
2009 8.5 0.5 -7.4 -2.1 -9.9 -1.5 0.4 6.2 8.3 8.3 -4.2 2.8 8.1
2010 -4.6 -4.6 -0.1 6.1 3.7 0.9 1.4 -7.9 0.3 -0.7 -6.7 0.6 -12
2011 -5.5 5.3 0.9 -0.4 6.5 -4.9 0.7 3.3 8.2 8.2 -2 0.7 21.6
2012 -3.2 -1.9 0.9 -0.9 8.3 -9 0.8 -2.5 0.6 -4.9 0.5 -5.8 -16.6
2013 -3.5 -0.2 2.2 2.2 3 -1.9 -3.4 1.5 -2.4 -0.3 -1.2 -2.1 -6.4
2014 -0.6 0.3 -3.5 -0.2 -0.5 -3.3 0.6 -1.6 4.6 -4.6 3.2 3.3 -2.8
2015 3.9 1 1.6 -3.6 -0.6 -1.8 0.6 9.4 0.1 1.7 -2.6 4.2 14.1
2016 -1.3 -8.5 -2.4 2.3 0.8 -0.8 -0.7 -0.8 -1.5 2.4 6.3 2.5 -2.2
2017 -1.8 -4.1 0.3 -2.2 -0.7 0.3 -1.3 0.2 -2 -0.1 1.5 1.5 -8.3
2018 0 4.6 -6.3 -4 -5.1 0.4 -2.5 -0.3 -1.4 -3.6 -2.8 -2.9 -21.9
2019 -1.7 -2.1 -4.2 0.9 4.9 -4.5 1.7 0.2 2.6 -3.5 0.9 -1 -6.1
2020 8.4 -2.6 13.1 8.7 0.2 -0.7 -7.4 -5.9 -3.3 6.6 -3.6 -0.5 11.3
2021 -7.5 -9.4 0.7 NA NA NA NA NA NA NA NA NA -15.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart